What could it mean if it hurts to pee after your first time having sex?

UTI. You could also just have some irritation around the urethra from the act of intercourse. It is also possible you could have a bladder infection. These are common after having sex. Symptoms would include pain urinating, frequency and urgency. This can be easily taken care of by seeing your physician, getting properly diagnosed and getting a course of antibiotics if this is the diagnosis.
Urethral irritation. Because of the location of the urethra being close proximity to the Vaginal opening, you may experience discomfort with urination after sexual activity or intercourse.